Peel the shallots and cut into cubes. Finely grate orange and lemon peel, squeeze half of each orange and lemon.
Boil shallot cubes, orange and lemon peel in the fruit juice poured together, add cherry jelly, cherry liqueur and mustard, stir through and cook for about 10 minutes. Season with cayenne pepper.
Fill into glass bottles while still hot, seal, cool.
The sauce goes well with cold or warm meat or baked camenbert.